I assume that these fuel injector return lines are about the same stuff on a TDI as they were on a 1982 diesel Rabbit. On my Rabbit, I had to replace glow plugs about every 4 years, and in so doing, I managed on occasion to crack the brittle fuel return lines. Since VW's replacement braided fuel return lines are flexible, I assumed that they get brittle over time from underhood heat.
Once they spring a leak, I am sure that even the slightest amount of lost diesel fuel will leave a strong odor. If you don't want to replace these fuel lines pre-emptively, perhaps it is a good idea to have about a meter of fuel return line on hand. (My VW dealer's parts department sells the hose by the meter.)
My 2000 Golf GLS-TDI hasn't been around long enough yet to develope such a problem.